Junkee Jeon

Kyung Hee University - Department of Applied Mathematics

1732 Deogyeong-daero, Giheung-gu,

Yongin, 130-701

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

11

DOWNLOADS

576

SSRN CITATIONS

8

CROSSREF CITATIONS

2

Scholarly Papers (11)

1.

Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude

Number of pages: 59 Posted: 23 Oct 2019 Last Revised: 02 May 2021
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 96 (330,852)

Abstract:

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consumption irreversibility, intertemporal loss aversion, excess sensitivity and smoothness, asymmetric sensitivities, consumption heterogeneity, U-shaped risky share

2.

Optimal Retirement Under Partial Information

Number of pages: 44 Posted: 19 Oct 2020 Last Revised: 08 Jun 2021
Kexin Chen, Junkee Jeon and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 88 (351,977)

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voluntary retirement, portfolio optimization, optimal consumption, optimal stopping, free boundary problem, partial information

3.

Asset Pricing with Consumption Frictions

Number of pages: 44 Posted: 08 Nov 2019 Last Revised: 28 Jun 2021
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 85 (357,048)
Citation 2

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Frictional Consumption, Adjustable Consumption, Asset Pricing, Habit Model, Intertemporal Loss Aversion, Hansen-Scheinkman Decomposition

4.

Optimal Long-term Contracts with Limited Commitment and Unobservable Disability

Number of pages: 57 Posted: 18 Jul 2019 Last Revised: 29 Jan 2021
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics, Kwangwoon University - Department of Mathematics and Academia Sinica - Institute of Economics
Downloads 76 (381,131)

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Dynamic Contracting, Disability Insurance, Limited Commitment, Truth-Telling

5.

Intertemporal Preference with Loss Aversion: Aggregate Consumption and Asset Management

Number of pages: 28 Posted: 12 Jun 2019 Last Revised: 13 Jan 2020
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 70 (398,905)

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Consumption irreversibility, intertemporal loss aversion, consumption autocorrelation, asset management, durable good, multiple goods

6.

Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model

Number of pages: 42 Posted: 06 Dec 2019 Last Revised: 04 Sep 2020
Junkee Jeon and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong, Department of Statistics
Downloads 46 (485,688)

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Drawdown constraint, Habit formation, Portfolio selection, Singular control problem, von Neumann--Morgenstern utility, Free boundary problem, Two-dimensional problem

7.

Optimal Retirement and Portfolio Selection with Consumption Ratcheting

Number of pages: 47 Posted: 29 Oct 2019 Last Revised: 02 Jan 2020
Junkee Jeon and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong, Department of Statistics
Downloads 36 (532,005)
Citation 7

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Portfolio selection, Consumption ratcheting, Early retirement option, Singular control problem, Optimal stopping problem

8.

Continuous-Time Portfolio Selection: A Cursory Survey

Number of pages: 20 Posted: 17 Dec 2019 Last Revised: 07 Feb 2020
Se Yung Bae, Junkee Jeon and Hyeng Keun Koo
Ajou University - Department of Financial Engineering, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 34 (542,397)

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Portfolio Selection, Dynamic Programming, Maximum Principle, Dual Martingale Approach, Retirement, Protection of Spending Power

9.

Optimal Finite Horizon Contract with Limited Commitment

Number of pages: 47 Posted: 22 Jun 2020 Last Revised: 01 Jun 2021
Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and The Chinese University of Hong Kong, Department of Statistics
Downloads 24 (601,467)
Citation 1

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Optimal contract, Limited commitment, Principal-Agent problem, Optimal stopping problem, Singular control problem

10.

Social Insurance for the Elderly

Number of pages: 45 Posted: 07 Mar 2020
Ajou University - Department of Financial Engineering, Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and The Chinese University of Hong Kong, Department of Statistics
Downloads 11 (694,745)

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Social Insurance, Consumption, Portfolio Selection, Retirement, Optimal stopping problem, Duality

11.

Finite Horizon Portfolio Selection with Durable Goods

Number of pages: 28 Posted: 03 Dec 2020 Last Revised: 31 Mar 2021
Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and The Chinese University of Hong Kong, Department of Statistics
Downloads 10 (702,440)

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Durable goods, Portfolio selection, Risk Aversion, Variational inequality, Integral equation, Optimal stopping problem